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de Finetti Risk Seminars / David Hobson 17 gennaio 2018

Mercoled' 17 gennaio 2018, alle ore 18.00, in Aula di Rappresentanza,

il Prof. David Hobson (University of Warwick) terrà il Seminario:

"Optimal stopping, time inconsistency and naive agents"


Many problems from finance and economics can be cast
as optimal stopping problems. In the classical framework when we
model agents as maximisers of expected utility the optimal stopping
rule is a threshold rule. But what happens if we move beyond the
standard setting?
We discuss some examples from cautious stochastic utility and
prospect theory. Then the problems become time-inconsistent and
we must discuss how agents respond to time inconsistency.


08 gennaio 2018
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